Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0638 |
| Annualized Std Dev | 0.2463 |
| Annualized Sharpe (Rf=0%) | 0.2589 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5082.0000 |
| NAs | 1.0000 |
| Minimum | -0.1424 |
| Quartile 1 | -0.0068 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1415 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0155 |
| Skewness | -0.2374 |
| Kurtosis | 7.0216 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0113 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0158 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.6319 |
| Historical VaR (95%) | -0.0241 |
| Historical ES (95%) | -0.0367 |
| Modified VaR (95%) | -0.0240 |
| Modified ES (95%) | -0.0424 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-02 | 2002-10-09 | 2007-04-16 | -0.6319 | 1578 | 452 | 1126 |
| 2007-10-11 | 2009-03-09 | 2010-12-10 | -0.6037 | 798 | 353 | 445 |
| 2018-09-04 | 2020-03-23 | 2020-11-23 | -0.4301 | 561 | 390 | 171 |
| 2011-07-08 | 2011-10-03 | 2012-03-26 | -0.2641 | 181 | 61 | 120 |
| 2015-06-23 | 2016-02-11 | 2016-11-14 | -0.2337 | 354 | 162 | 192 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3.3 | 1.4 | -1.5 | -3.3 |
| 2001 | -1.2 | -2.2 | -1.1 | 1.9 | 0.5 | 1.6 | 1.1 | 1.2 | -2 | 2.1 | -1.3 | -1.4 | -0.7 |
| 2002 | -1 | 2.9 | -0.9 | -0.8 | -0.3 | -4.6 | -1.1 | -1.6 | -0.2 | 1.2 | 0.2 | 1.3 | -5 |
| 2003 | 0.1 | 0.9 | 0 | 0.4 | 2.3 | 1.1 | -1.3 | 0.9 | 2.1 | -0.1 | 1.5 | -0.7 | 7.2 |
| 2004 | 0.5 | 1.7 | 0.5 | -0.9 | 0.7 | -1.1 | 0.9 | 1.4 | 1.5 | 0.4 | 1.6 | -0.2 | 7.3 |
| 2005 | 0.8 | 0.8 | -0.6 | -0.1 | 0.2 | -0.2 | 0.3 | 0.6 | 0.9 | -0.4 | 1.6 | -0.5 | 3.5 |
| 2006 | 0.2 | 1.4 | 0.3 | -0.3 | 2.3 | 1 | -1.8 | 0.2 | -0.6 | -1.9 | -1.1 | -0.7 | -1 |
| 2007 | 0.7 | -0.1 | 0 | 0 | 0.8 | -0.4 | 0.1 | 1.3 | 1.9 | -2.6 | 0.2 | -0.7 | 1.3 |
| 2008 | 2.6 | -2.6 | 2.7 | 1.1 | 0.4 | 0 | 0.2 | -1.2 | -1.4 | 1.7 | -9.4 | 2.8 | -3.6 |
| 2009 | -2 | -0.8 | 0.6 | 0.4 | 4.4 | 1.3 | 0.4 | -2.7 | -3.5 | -3.2 | 2 | -1 | -4.3 |
| 2010 | 1.7 | 2.1 | 1 | -2.5 | -2.8 | -0.8 | -0.3 | 3.3 | 0.3 | -1.1 | 2.1 | -1.4 | 1.3 |
| 2011 | 1.7 | -1.3 | 0.4 | 0.3 | -2.5 | 1.3 | -0.8 | -1.6 | -1.9 | -3.2 | 0.9 | -0.6 | -7.3 |
| 2012 | 2.1 | 1.1 | 0 | 0.3 | -2.5 | 3.2 | -1.6 | 0.2 | -0.1 | 1.2 | -0.2 | 1.4 | 5.2 |
| 2013 | 1.3 | 0 | -1.3 | -1.8 | -0.8 | 1.6 | 1.3 | -1.2 | 1.2 | -0.8 | 0.2 | 0.2 | -0.2 |
| 2014 | -0.8 | -0.4 | 1.2 | 0.3 | -0.4 | 1.5 | -0.6 | 0.3 | -2 | 1.8 | -1.5 | -0.5 | -1.1 |
| 2015 | -1.8 | -0.2 | 0 | 0.6 | 0.4 | 0.5 | 0.4 | -2.7 | -0.2 | -0.2 | 0.7 | -1.5 | -4 |
| 2016 | 0 | 2.1 | 0.3 | -0.7 | 1 | 0.2 | -0.1 | 0.1 | 1.2 | -1.5 | -0.3 | -0.4 | 2 |
| 2017 | -0.1 | 1.7 | 0.2 | 0.7 | 1.8 | 0 | 0.3 | 0.7 | 0.3 | -0.5 | -0.8 | -0.9 | 3.4 |
| 2018 | 0.6 | -0.7 | 1.1 | 0.7 | 0.9 | -0.1 | 0.3 | 0.7 | -1.6 | 2.5 | 0.8 | 0.7 | 5.8 |
| 2019 | -0.3 | 0.6 | 0.9 | -0.7 | -1.2 | 0.4 | -1.1 | -0.3 | -1.9 | 1.3 | -0.5 | 0.2 | -2.8 |
| 2020 | -2.4 | -1.7 | -7.1 | -3.8 | 0.9 | -1.1 | -0.4 | 1.2 | 1.4 | -1.3 | 1 | -0.1 | -13 |
| 2021 | 2.1 | 3.2 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
